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Optimal search for parameters in Monte Carlo simulation for derivative pricing.

Chuan-Ju WangMing-Yang Kao
Published in: CIFEr (2014)
Keyphrases
  • monte carlo simulation
  • monte carlo
  • markov chain
  • maximum likelihood
  • input data
  • parameter estimation
  • additive model
  • dynamic programming
  • sensitivity analysis
  • parameter space